Hall, Jamie (2012): Consumption dynamics in general equilibrium.

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Abstract
This paper explores the role of consumption habits using an estimated nonlinear dynamic stochastic general equilibrium (DSGE) model with heteroscedastic shocks. It finds that habits interact with timevarying volatility to produce a better and more plausible fit to the data. They accentuate the nonlinear character of the simple New Keynesian model to produce asymmetries between positive and negative shocks. In general equilibrium, these effects are transmitted as much through inflation as through consumption itself.
Item Type:  MPRA Paper 

Original Title:  Consumption dynamics in general equilibrium 
Language:  English 
Keywords:  New Keynesian, habits, particle filter, heteroscedastic 
Subjects:  E  Macroeconomics and Monetary Economics > E3  Prices, Business Fluctuations, and Cycles > E32  Business Fluctuations ; Cycles E  Macroeconomics and Monetary Economics > E2  Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E21  Consumption ; Saving ; Wealth 
Item ID:  43933 
Depositing User:  Jamie Hall 
Date Deposited:  22 Jan 2013 05:44 
Last Modified:  11 Jan 2018 04:44 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/43933 